I am unable to understand a step

I would like to know the meaning of step 13 of Exercise 0: The Setup of learn python the hard way. What is it supposed to mean? Are you trying to ask me to learn how to change the path of the directory or what?

Change into a directory means go inside that directory.
Everything in Unix is a file. Some files that can hold more files, kind of like drawers are called directories.
There is the home directory which hold all the other directories of the user.
If you do pwd you will see in which directory you are. If you do ls you will see the contents of the directory you are currently in. A directory can hold other directories too and other files.
You can go check what is inside some other directory if you “change into that directory”. That means you go inside that directory using the command cd, like you would open that drawer see what’s inside it.
Check the appendix A